Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 16 13 13
Score 4.05 2.28 2.26
Market Cap (Millions USD) 2043.62 1986.18 1941.55
Predicted Beta 0.52 0.51 0.5
Idiosyncratic Volatility 0.77 0.67 0.89

Annualized return and volatility

IOO
Annualized Return 0.0438
Annualized Std Dev 0.1941
Annualized Sharpe (Rf=0%) 0.2259

Row

Daily Return Statistics

IOO
Observations 4872.0000
NAs 242.0000
Minimum -0.1035
Quartile 1 -0.0049
Median 0.0004
Arithmetic Mean 0.0002
Geometric Mean 0.0002
Quartile 3 0.0058
Maximum 0.1205
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0122
Skewness 0.0318
Kurtosis 9.4294

Downside Risk

IOO
Semi Deviation 0.0088
Gain Deviation 0.0089
Loss Deviation 0.0095
Downside Deviation (MAR=210%) 0.0135
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.5585
Historical VaR (95%) -0.0183
Historical ES (95%) -0.0293
Modified VaR (95%) -0.0174
Modified ES (95%) -0.0226
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2013-08-02 -0.5585 1472 348 1124
2000-12-12 2002-10-09 2006-04-27 -0.4563 1373 464 909
2015-05-22 2016-02-11 2016-12-09 -0.1729 398 186 212
2018-09-21 2018-12-24 2019-04-08 -0.1691 138 66 72
2006-05-10 2006-06-13 2006-08-30 -0.1043 80 24 56

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IOO
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA 0 NA
2001 0.7 -1.2 0.0 2.1 0.2 0.0 0.5 0.0 0.3 3.1 0.0 0 5.9
2002 0.0 2.3 -0.3 1.0 0.0 -0.3 -3.0 0.0 4.3 1.9 0.0 0 5.8
2003 0.0 0.0 0.8 0.4 0.0 -1.5 -1.3 0.0 1.4 0.0 1.4 0 1.3
2004 0.0 1.0 0.5 0.0 0.0 -1.1 0.0 -0.2 1.8 -0.3 0.9 0 2.5
2005 1.1 0.7 -0.5 0.0 0.6 -0.2 0.1 0.6 0.0 -0.1 1.8 0 4.0
2006 0.2 0.6 0.0 -0.6 0.8 0.0 -0.5 0.5 0.0 -0.3 -0.4 0 0.3
2007 0.5 -1.0 0.0 0.4 0.6 0.0 0.3 0.0 1.3 -2.4 0.0 0 -0.3
2008 1.3 0.0 3.4 1.0 0.0 -0.1 -0.7 0.0 0.0 0.0 -7.9 0 -3.4
2009 0.0 0.0 2.1 0.8 2.2 1.1 0.0 -2.2 -2.8 0.0 1.9 0 3.0
2010 1.6 0.6 0.9 0.0 -1.4 0.4 0.0 3.3 0.9 -0.3 2.5 0 8.7
2011 2.2 -1.5 0.6 0.0 -2.0 1.2 -0.7 -0.9 0.0 -3.4 -0.4 0 -5.0
2012 1.0 0.8 0.0 0.5 -2.1 0.0 0.1 0.0 0.7 0.8 0.0 0 1.6
2013 0.7 -0.2 -0.4 -0.8 0.0 0.6 0.9 0.0 0.6 -0.1 0.0 0 1.4
2014 0.0 0.0 0.4 0.0 0.0 0.7 -0.5 0.0 -1.2 0.0 -0.2 0 -0.8
2015 0.0 0.0 -0.1 0.8 -0.3 0.7 0.0 -3.2 0.3 0.0 0.8 0 -1.1
2016 -0.1 2.5 -0.1 0.0 0.1 0.2 -0.4 0.0 0.0 -0.5 -0.1 0 1.8
2017 0.3 1.4 0.0 0.3 0.5 0.0 0.3 0.2 0.0 0.2 -0.2 0 3.1
2018 -0.1 -1.5 0.0 0.0 1.1 0.0 0.2 0.0 0.6 1.0 0.0 0 1.4
2019 -0.4 0.6 1.2 -0.7 0.0 0.8 -0.7 0.0 -1.0 0.9 0.0 0 0.7

Row

Rolling Performance Chart

Snail Trail Chart